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放空限制、市場微結構與行為偏誤 = Short-Sales Constr...

國立高雄大學金融管理學系碩士班

放空限制、市場微結構與行為偏誤 = Short-Sales Constraints, Market Microstructure, and Behavioral Pitfalls

Record Type:	Language materials, printed : monographic
Paralel Title:	Short-Sales Constraints, Market Microstructure, and Behavioral Pitfalls
Author:	江文杉,
Secondary Intellectual Responsibility:	國立高雄大學
Place of Publication:	[高雄市]
Published:	撰者;
Year of Publication:	2009[民98]
Description:	91面圖、表 : 30公分;
Subject:	制約反應
Subject:	Behavioral Finance
Online resource:	http://handle.ncl.edu.tw/11296/ndltd/25540505611879419488
Notes:	指導教授：張志向
Notes:	參考書目：面
Summary:	相對於早期文獻僅侷限於探討放空限制對放空水準的影響，本研究旨在藉由行為財務學與心理學來調查為何主管機關所使用的放空限制或市場微結構相關措施卻無法達成其目標？實證結果發現，若主管機關推出「與交易資訊透明度或交易公平性有關」的措施，則該措施將達成其目標；但是當投資人面對「與放空成本直接相關」之「調升或調降融券保證金」的措施時，其會出現反向認知的制約反應。此外，關於投資人情緒的研究結果也顯示，主管機關若意圖經由提高放空成本來護盤股市，則其不但徒勞無功，反而可能招致投資人情緒更形悲觀。 In contrast with previous literature mainly focusing on the effect of short-sales constraints on short interest, this study applies behavioral finance and psychology to investigate why the authorities couldn’t achieve the goal of the changes in short-selling regulation and market microstructure. The empirical results revealed that the authorities will achieve their goal if they take measures to increase transaction transparency or fairness in trade. However, the measures related to the capital budget of investors, i.e., margin requirement of short-sales, caused the conditioning response among investors and resultantly failed to achieve the authority’s goal. The robust analysis of investor sentiments also showed that investors will be more pessimistic if the authorities intend to protect stock price by taking the measure of increasing margin of short-sales.

放空限制、市場微結構與行為偏誤 = Short-Sales Constraints, Market Microstructure, and Behavioral Pitfalls
江, 文杉

放空限制、市場微結構與行為偏誤 = Short-Sales Constraints, Market Microstructure, and Behavioral Pitfalls / 江文杉撰 - [高雄市] : 撰者, 2009[民98]. - 91面 ; 圖、表 ; 30公分.
指導教授：張志向參考書目：面.
制約反應Behavioral Finance

放空限制、市場微結構與行為偏誤 = Short-Sales Constraints, Market Microstructure, and Behavioral Pitfalls
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